# Continuity of gaussian stochastic process

Let $\mathcal{X}\triangleq (\Omega,\mathfrak{F}_t,\mathbb{P})$ be a filtered probability space.
Is it possible for a stochastic process $X_t$ defined on $\mathcal{X}$ with increments satisfying

• $X_t-X_s$ are normal
• $Var(X_t - X_s) \underset{t\to s}{\to} 0 ,$

for every $t\geq s$ to have sample paths to not have $\mathbb{P}$-a.s. continuous sample paths?

It is possible, the following is an example. Let $$X=\{X_t, t\in \mathbb{R}\}$$ be stationary Gaussian process with zero mean $$\mathsf{E}[X_t]=0$$ and the following covariance function, $$B(h)=\mathsf{E}[X_{t+h}X_t]=\int_0^\infty\frac{\cos(h\lambda)}{(1+\lambda)[\log(1+\lambda)]^{3/2}}\,d\lambda.\qquad h,t\in \mathbb{R}.$$ Then $$\lim\limits_{t\to s}\mathsf{Var}(X_t-X_s)=0$$, and $$X$$ has discontinuous sample path with probability one from a result in following book: J. Alder, An Introduction to Continuity, Extrema and Related Topics for General Gaussian Proceses, IMS Lecture Notes-Monograph Series, Vol.12. pp.15 (1.20).